Forecasting by blending algorithms to optimize near term and long term predictions

Abstract

Described is time-weighted blending of the results of time series algorithms in a manner that changes their relative weights based on the prediction time. The prediction values from each algorithm are mathematically blended into a forecast result corresponding to the desired time of prediction. In this manner, an ARTXP algorithm that provides accurate near term predictions is given more weight than an ARIMA for near term predictions, and less relative weight for long term predictions. An example exponential function to compute the relative weights is described; the function corresponds to a curve having a control variable for the slope and the start of the curve, and constant coefficients, with the weights based (in part) on the prediction time. A user-provided parameter may also affect the relative weights used in the blending result.

1. In a computing environment, a method comprising:
 receiving input corresponding to a desired time of prediction; 
 providing the input to each of a plurality of time series algorithms; 
 receiving a prediction value from each of the time series algorithms; and 
 blending the prediction values into a forecast result corresponding to that desired time of prediction, based at least in part on the input corresponding to a desired time of prediction, wherein blending the prediction values into the forecast result comprises computing an exponential function based at least in part on a value corresponding to the desired time of prediction, the exponential function corresponding to a curve having a control variable set for a slope and a start of the curve, and one or more constant coefficients. 
 
     
     
       2. The method of  claim 1  wherein the plurality of time series algorithms comprises a first algorithm and a second algorithm, wherein the first algorithm provides accurate near term predictions, and wherein blending the prediction values into the forecast result comprises weighing the prediction value of the first algorithm to have more weight relative to the second algorithm when the desired time of prediction is near term. 
     
     
       3. The method of  claim 1  wherein the plurality of time series algorithms comprises a first algorithm and a second algorithm, wherein the first algorithm provides unstable long term predictions, and wherein blending the prediction values into the forecast result comprises weighing the prediction value of the second algorithm to have more weight relative to the first algorithm when the desired time of prediction is long term. 
     
     
       4. The method of  claim 1  wherein the exponential function is: W(T)=(1−p)*e −p C(T−1) where W represents the weight function, T represents a prediction time step corresponding to the desired time of prediction, p represents a user variable, and c represents a constant. 
     
     
       5. The method of  claim 4  wherein the plurality of time series algorithms comprises an autoregressive tree cross-prediction (ARTXP) algorithm and an autoregressive integrated moving average (ARIMA) algorithm, and wherein blending the prediction values comprises assigning weights factors based on the result of computing the exponential function as: weight of ARTXP(T)=W(T), and weight of ARIMA(T)=1−W(T). 
     
     
       6. The method of  claim 1  further comprising, receiving a user parameter, and wherein blending the prediction values into a forecast result comprises applying the user parameter to affect a relative weight value computed for each algorithm. 
     
     
       7. The method of  claim 1  further comprising, training each algorithm of the plurality. 
     
     
       8. In a computing environment, a system comprising:
 at least one processor; 
 a memory, communicatively coupled to the at least one processor and containing processor executable instructions, comprising: 
 a first time series algorithm; 
 a second time series algorithm; 
 a blending mechanism coupled to receive output from each algorithm, the blending mechanism including an exponential function for computing the relative weights, and each algorithm and the blending mechanism configured to receive input corresponding to a prediction time, the first and second algorithms configured to provide first and second prediction results corresponding to the prediction time, and the blending mechanism configured to use the prediction time to blend the prediction values into a forecast result. 
 
     
     
       9. The system of  claim 8  wherein the blending mechanism uses the prediction time to determine relative weights for the first and second algorithms that are based upon the prediction time. 
     
     
       10. The system of claim wherein the first algorithm comprises an autoregressive tree cross-prediction (ARTXP) algorithm. 
     
     
       11. The system of  claim 8  wherein the first algorithm comprises an autoregressive integrated moving average (ARIMA) algorithm. 
     
     
       12. The system of  claim 8  wherein the first algorithm provides accurate near term predictions, and wherein the blending mechanism weighs the prediction value of the first algorithm to have more weight relative to the second algorithm when the prediction time corresponds to a near term time. 
     
     
       13. The system of  claim 8  wherein the first algorithm provides unstable long term predictions, and wherein the blending mechanism weighs the prediction value of the second algorithm to have more weight relative to the first algorithm when the prediction time corresponds to a long term time. 
     
     
       14. One or more computer storage devices having computer-executable instructions stored thereon, which when executed in response to execution, cause a computer to perform steps, comprising: receiving a time step; providing the time step to an autoregressive tree cross-prediction (ARTXP) time series algorithm, to an autoregressive integrated moving average (ARIMA) time series algorithm and to a blending mechanism; receiving a first prediction value from the ARTXP time series algorithm, receiving a second prediction value from the ARIMA time series algorithm; blending the first prediction value with the second prediction value based on the time step received at the blending mechanism into a forecast result, wherein the blending comprises computing an exponential function result based in part on the time step, and using the exponential function result to determine a relative weight for each prediction value; and outputting the forecast result in association with the time step. 
     
     
       15. The one or more computer storage devices of  claim 14  wherein the exponential function corresponds to a curve having a control variable set for a slope and a start of the curve, and constant coefficients. 
     
     
       16. The one or more computer storage devices of  claim 14  wherein computing the exponential function comprises using a user-provided parameter as a function variable.